BPCE - 2019 RISK REPORT Pillar III

LIQUIDITY, INTEREST RATE AND FOREIGN EXCHANGE RISKS

QUANTITATIVE DISCLOSURES

Quantitative disclosures 9.3

Liquidity reserves include cash placed with central banks and securities and receivables eligible for central bank funding. Management of liquidity reserves, composed of deposits with central banks and highly liquid assets, allows the Bank to adjust its cash position. Loan securitization, which transforms less liquid assets into liquid or available securities, is another method of strengthening this liquidity reserve. The table below presents changes in the liquidity reserve:

TABLE 85 – LIQUIDITY RESERVES

12/31/2019

12/31/2018

in billions of euros

Cash placed with central banks

69 66 96

67 62 74

LCR securities

Assets eligible for central bank funding

TOTAL

231

204

At December 31, 2019, liquidity reserves covered 155% of the Group’s short-term funding and the short-term maturities of MLT debt (€148 billion at December 31, 2019 compared with €127 billion at December 31, 2018). The coverage ratio was 160% at December 31, 2018.

TABLE 86 – LIQUIDITY GAPS The Group’s liquidity gap (liabilities – assets) complies with internal limits.

01/01/2020 to 12/31/2020

01/01/2021 to 12/31/2023

01/01/2024 to 12/31/2027

in billions of euros

Liquidity gap

15.1

7.9

11.5

A liquidity gap arises from a mismatch between assets and liabilities with different maturity dates, as viewed at a static point in time.

9

185

RISK REPORT PILLAR III 2019 | GROUPE BPCE